cointeg: Teste de cointegracao de Johansen

In santoscs/nimcno: Estima Nucleo da Inflacao com Modelos de Componentes Nao Observados

Description

Conducts the Johansen procedure on a given data set. The "trace" or "eigen" statistics are reported. A wrapper for the ca.jo function in the urca package.

Usage

cointeg(x, ecdet, K, season = NULL)

Arguments

x	Data matrix to be investigated for cointegration
ecdet	Character, "none" for no intercept in cointegration, "const" for constant term in cointegration and "trend" for trend variable in cointegration.
K	The lag order of the series (levels) in the VAR
season	If seasonal dummies should be included, the data frequency must be set accordingly, i.e "4" for quarterly data.

Value

A list with the following elements:

eigen	estatistica do teste do lambda-max
trace	estatistica do teste do traco

@import urca

@export

santoscs/nimcno documentation built on May 29, 2019, 1:48 p.m.